MOODY'S RATES SECURITIES ISSUED BY IMPAC CMB TRUST SERIES 2003-10
Approximately $1.0 Billion of Mortgage-Backed Securities Rated.
New York, November 26, 2003 -- Moody's Investors Service has assigned a rating of Aaa to the Class A
bonds in Impac's IMH Assets Corp. CMB Trust Series 2003-10
securitization of adjustable-rate (ARM) and fixed-rate (FRM)
Alternative A (Alt-A) mortgages. In addition, Moody's
has assigned ratings ranging from Aa1 to A3 to the mezzanine and subordinate
bonds. The ratings are based on the quality of the loans,
available excess spread to cover losses, overcollateralization,
subordination, and a combination of borrower- and lender-paid
mortgage insurance.
The loan pool consists primarily of one- to four-family
residential adjustable-rate and fixed-rate Alt-A
mortgage loans. Alt-A loans are loans that are ineligible
to be purchased by either Fannie Mae or Freddie Mac under their standard
underwriting guidelines. Examples of Alt-A loans include
loans to investors and loans with reduced documentation standards.
The weighted average FICO scores for Alt-A pools usually fall between
675 and 715.
The mortgage pool backing the securities is riskier than Alt-A
pools generally. This is because the pool includes a higher-than-average
percentage of interest-only hybrid adjustable-rate and fixed-rate
mortgages.
Approximately 45% of the loans in the pool pay interest only for
5 or 10 years, then principal and interest for the remaining years
of the mortgage term. Loans with extended interest-only
payment periods are riskier than loans without an interest-only
period because there is no equity build up during the interest-only
period and less equity throughout the life of the mortgage. For
this reason, borrowers may be more likely to default on their mortgage
payment in stressful scenarios. If the borrower defaults,
severity will be higher as a result of less equity compared to mortgages
that are fully amortizing.
A positive attribute that helps to reduce potential losses to the mortgage
pool is the combination of borrower- and lender-paid mortgage
insurance on most of the loans having a loan-to-value (LTV)
ratio above 80%. Approximately 24% of the loans in
Group 1 and 20% of the loans in Group 2 are above 80% LTV.
Radian Guaranty, Inc. (Radian) is the lender-paid
mortgage insurance provider. Moody's financial strength rating
for Radian is Aa3.
The mortgage pool has been divided into two groups. Group 1 is
comprised of adjustable-rate first lien residential mortgages,
while Group 2 includes fixed-rate first and second lien residential
mortgages. The Group 1 loans have a weighted average LTV at origination
of approximately 78% and the Group 2 loans have a weighted average
LTV and combined LTVof approximately 74%.
Impac Funding Corp. (Impac) is a mortgage banking company located
in Newport Beach, California. The company acquires mortgages
nationwide through bulk purchases, correspondents, and brokers.
Impac will be the master servicer. Initially, Wendover Funding,
Inc. will subservice most of the mortgage loans. Subservicing
of the mortgage loans with respect to the loans in Group 1 will be transferred
to Countrywide Home Loans Servicing L.P., or an affiliate
thereof on or about December 1, 2003 and subservicing of the loans
in Group 2 will be transferred to GMAC Mortgage Corporation on or about
December 1, 2003. Wendover Funding, Inc. will
retain subservicing for the loans in Group 2 that are secured by second
liens on the mortgaged property.
The complete rating actions are as follows:
Issuer: Impac CMB Trust Series 2003-10
Impac CMB Grantor Trust 2003-10 - 1 through 6
Securities: Collateralized Asset-Backed Bonds, Series
2003-10
Collateralized Asset-Backed Grantor Trust Certificates,
Series 2003-10
Class 1-A-1 Bond, $685,100,000,
Variable, rated Aaa
Class 1-A-2 Bond, $75,000,000,
Variable, rated Aaa
Class 2-A Bond, $94,900,000, Fixed,
rated Aaa
Class M-1 Certificate, $22,500,000,
Variable, rated Aa1
Class M-2 Certificate, $14,500,000,
Variable, rated Aa1
Class M-3 Certificate, $35,500,000,
Variable, rated Aa2
Class M-4 Certificate, $41,000,000,
Variable, rated A1
Class M-5 Certificate, $24,000,000,
Variable, rated A2
Class M-6 Certificate, $7,500,000,
Variable, rated A3
Additional research will be available on www.moodys.com
New York
Jay A. Siegel
Managing Director
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
New York
Pooja Bharwani
Associate Analyst
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653